CFA Institute Magazine printed an interview with C. Thomas Howard, director of Athena Investment Services. He has an extreme style of investment, meant to eliminate all emotional biases. Some of his ideas are definitely outside the mainstream. He makes a good argument that the Prudent Man Rule, and even modern portfolio theory itself, are, in some ways, the institutionalization of emotion-driven investing, so that even our ethical and academic frameworks are damaging to optimal investing.
I think he makes some great points, and has some challenging ideas about how to invest wisely.
In the end, the problem comes down to the fact that optimal investing is hopelessly bound up with uncertainty on many levels. We can never cleanly separate temporary and permanent changes, losses from mistaken tactics and losses from volatility, etc. So, while the best long term investment needs to be unconcerned with volatility, there will always be the possibility, at the nadir of volatility that is likely to be mean-reverting, that it is actually only the beginning of the consequences of a very poor or very unlucky position. That includes tactics as broad as having a diversified exposure to the global productive economy. And, that problem is multiplied many times over when your portfolio is under the management of a 3rd party.
Even when a portfolio does well, it can be for reasons that are unclear. For instance, the Athena Pure portfolio has gained an average annual return of 25% over 12 years. Howard attributes this to his non-emotional, behavioral finance approach. But, it just so happens that part of his theory regarding this approach is that he prefers firms with high levels of debt and large dividends. How much of his gains have come from behavioral finance insights, and how much has come from the happenstance that this profile might do very well in a context of falling interest rates? (I haven't researched the fund's holdings.)
Here is the link (pdf). An interesting article, with food for thought, and several good ideas, in any case.